Mean reversion in the current account of forty-eight african countries: Evidence from the Panel SURADF test

Hsiao-Ping Chu, Tsangyao Chang, Hsu-Ling Chang, Chi-Wei Su and Young Yuan

Physica A: Statistical Mechanics and its Applications, 2007, vol. 384, issue 2, 485-492

Abstract: Here, the Panel seemingly unrelated regressions augmented Dickey–Fuller test (SURADF) test, first introduced and advanced by Breuer et al. [Misleading inferences from panel unit-root tests with an illustration from purchasing power parity, Rev. Int. Econ. 9(3) (2001) 482–493], is used to investigate the mean-reverting behavior of the current account of 48 African countries during the 1980–2004 periods. The empirical results from numerous panel-based unit root tests, conducted earlier, indicated that the current account of each of these countries is stationary; however, when Breuer et al.'s (2001) Panel SURADF test is conducted, it is found that a unit root exists in the current account of 11 of the countries studied. These results have one extremely important policy implication for the 48 African countries studied: the current account deficit of most is sustainable, and thus signifying that those nations should have no incentive to default on their international debt.

Keywords: Mean reversion; Current account; Panel SURADF test (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:384:y:2007:i:2:p:485-492

DOI: 10.1016/j.physa.2007.05.051

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